Room is too well insulated and sealed. Once the bedroom door is closed, the air exchange is too low. I'm planning to fit a heat exchanging fan system next year to permanently fix it.

Opening a window isn't as bad as it first seems. Most of the heat in a home (at least a brick one) is in the structure. Change the air, close the window, and it will rapidly warm up again. It's only leaving it open for longer periods that cool it down.